Well, go about creating a new project. When you do that, select the icon that reads "Windows application" and give the application a name. Click ok and it will create a basic windows application. So as soon as it is generated, click the run button to compile it and you will see the familiar windows application screen.
So once you got that go back to the project and start dragging a few toolbox items onto the form. Start by dragging a button onto your form from the toolbox. Your toolbox might be closed up on the side of the screen, in which case you will need to open it op by just mousing over it. Find the button menu item and drag it to the form.
Once you got the button on there, double click it will put you into the code view inside a button click event. Put in a line like...
CODE
MessageBox.Show("Hello World!");
Then click the run button again. Then clicking the button will show you the messagebox.
Your first windows application. You created a control and attached an event to it. There is the basics.
Hope this helps you out. Below is a great tutorial on making more windows applications in C#. Now it is for the 2003 version but you can do pretty much the same thing in 2005 express. The basics are the same and you should be able to do just about everything in the tutorial.
Developing windows applications - C#Enjoy!